Drug discovery can be thought of as a search for a needle in a haystack: searching through a large chemical space for the most active compounds. Computational techniques can narrow the search space for experimental follow up, but even they become unaffordable when evaluating large numbers of molecules. Therefore, machine learning (ML) strategies are being developed as computationally cheaper complementary techniques for navigating and triaging large chemical libraries. Here, we explore how an active learning protocol can be combined with first-principles based alchemical free energy calculations to identify high affinity phosphodiesterase 2 (PDE2) inhibitors. We first calibrate the procedure using a set of experimentally characterized PDE2 binders. The optimized protocol is then used prospectively on a large chemical library to navigate toward potent inhibitors. In the active learning cycle, at every iteration a small fraction of compounds is probed by alchemical calculations and the obtained affinities are used to train ML models. With successive rounds, high affinity binders are identified by explicitly evaluating only a small subset of compounds in a large chemical library, thus providing an efficient protocol that robustly identifies a large fraction of true positives.